Several countries worldwide are experiencing a continuous increase in life expectancy, extending the challenges of life actuaries and demographers in forecasting mortality. Although several stochastic mortality models have been proposed in the literature, mortality forecasting research remains a crucial task. Recently, various research works have encouraged the use of deep learning models to extrapolate suitable patterns within mortality data. Such learning models allow achieving accurate point predictions, though uncertainty measures are also necessary to support both model estimate reliability and risk evaluation. As a new advance in mortality forecasting, we formalize the deep neural network integration within the Lee-Carter framework, as a first bridge between the deep learning and the mortality density forecasts. We test our model proposal in a numerical application considering three representative countries worldwide and for both genders, scrutinizing two different fitting periods. Exploiting the meaning of both biological reasonableness and plausibility of forecasts, as well as performance metrics, our findings confirm the suitability of deep learning models to improve the predictive capacity of the Lee-Carter model, providing more reliable mortality boundaries in the long run.

A Neural Approach to Improve the Lee-Carter Mortality Density Forecasts

Mario Marino
;
2022-01-01

Abstract

Several countries worldwide are experiencing a continuous increase in life expectancy, extending the challenges of life actuaries and demographers in forecasting mortality. Although several stochastic mortality models have been proposed in the literature, mortality forecasting research remains a crucial task. Recently, various research works have encouraged the use of deep learning models to extrapolate suitable patterns within mortality data. Such learning models allow achieving accurate point predictions, though uncertainty measures are also necessary to support both model estimate reliability and risk evaluation. As a new advance in mortality forecasting, we formalize the deep neural network integration within the Lee-Carter framework, as a first bridge between the deep learning and the mortality density forecasts. We test our model proposal in a numerical application considering three representative countries worldwide and for both genders, scrutinizing two different fitting periods. Exploiting the meaning of both biological reasonableness and plausibility of forecasts, as well as performance metrics, our findings confirm the suitability of deep learning models to improve the predictive capacity of the Lee-Carter model, providing more reliable mortality boundaries in the long run.
2022
13-apr-2022
Pubblicato
https://doi.org/10.1080/10920277.2022.2050260
File in questo prodotto:
File Dimensione Formato  
Marino A Neural Approach to Improve the Lee Carter Mortality Density Forecasts.pdf

Accesso chiuso

Descrizione: articolo
Tipologia: Documento in Versione Editoriale
Licenza: Copyright Editore
Dimensione 1.85 MB
Formato Adobe PDF
1.85 MB Adobe PDF   Visualizza/Apri   Richiedi una copia
Marino+A+Neural+Approach+to+Improve+the+Lee+Carter+Mortality+Density+Forecasts-Post_print.pdf

Open Access dal 14/04/2023

Tipologia: Bozza finale post-referaggio (post-print)
Licenza: Creative commons
Dimensione 2.19 MB
Formato Adobe PDF
2.19 MB Adobe PDF Visualizza/Apri
Pubblicazioni consigliate

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11368/3035818
Citazioni
  • ???jsp.display-item.citation.pmc??? ND
  • Scopus 7
  • ???jsp.display-item.citation.isi??? 3
social impact